TITLE

A Sobrerreação do Mercado à Informação Intangível

AUTHOR(S)
Lauretti, Carlos Marcelo; Kayo, Eduardo Kazuo; Marçal, Emerson Fernandes
PUB. DATE
August 2009
SOURCE
Revista Brasileira de Finanças;2009, Vol. 7 Issue 2, p215
SOURCE TYPE
Academic Journal
DOC. TYPE
Article
ABSTRACT
Academic studies have shown that returns show reversion effects, which has often been explained as market overreaction to firms past performance. Other studies have shown that future returns are positively related to book-to-market index (B/M), which has been suggested as a proxy for risk factors omitted by CAPM classic model. Both evidences have been widely used in investment strategies. More recent studies in the U.S. market showed that these observations stem from the same phenomenon: the overreaction to the intangible information, that is, information that is not present in accounting performance statements, and thus counter to the prevailing explanations in the academic environment in the last two decades. This can be illustrated by return decomposition in two tranches: one that can be explained by accounting performance, and so called tangible return, and another, orthogonal to the first and so called intangible return. It was observed that only intangible return suffers reversion effects, which demonstrates overreaction to intangible information. This research seeks if those evidences can be found in Brazilian stock market.
ACCESSION #
44387398

 

Related Articles

  • The Risk Preference of Small and Medium Investors and Market Trends. Shangzhou Ji; Shu'e Yang // Journal of Systems Science & Information;Jun2012, Vol. 10 Issue 2, p97 

    Since 2006, the stock market fluctuated widely. In this paper we analyze the relation between the movement of stock market index and risk preference of Small and medium investors. We study the relation between the return and expected stock index, investment strategy. We found that the return has...

  • Comments and Discussion.  // Brookings Papers on Economic Activity;2001, Issue 2, p334 

    This article comments on a study which attempts to reconcile the observed high return on equities with reasonable levels of risk aversion on the part of individuals. The paper also calculates the risk aversion of consumers who invest in the stock market. It exploits the first-order conditions of...

  • An anatomy of calendar effects. Swinkels, Laurens; van Vliet, Pim // Journal of Asset Management;Aug2012, Vol. 13 Issue 4, p271 

    This article studies the interaction and profitability of the five most well-established calendar effects: the Halloween effect, January effect, turn-of-the-month (TOM) effect, weekend effect and holiday effect. We find that Halloween and TOM are the strongest and most profitable effects. The...

  • Chinese share price jolt could cause policy paralysis. Raby, Geoff // Australian Financial Review (0404-2018);7/16/2015, p55 

    The author presents insights on the decline in the stock market in China. He discusses the growth of the Shanghai and Shenzhen stock indexes in late 2014, the opening of new trading accounts in the June 2015 quarter, the response of the Chinese government to this market fever, and the economic...

  • TO MY MIND. Hasenfuss, Marc // Finweek;12/23/2010, p4 

    An introduction to the journal is presented in which the editor discusses various reports published within the issue including one on the solid blue chip opportunities for growth and yield available on Johannesburg Stock Exchange and the outcomes of "Finweek's" endevours from 2010.

  • Stocks Rise In Light Trading. Investor's Business Daily // Investors Business Daily;12/23/2015, pA01 

    1 The Nasdaq spent most of the session trading under the 5000 level but poked above it at the close for a 0.6% gain. The Dow rose 1% and the S&P 500 0.9%. Lowly rated industry groups, such as oil and steel, led the charge. The 10-year Treasury yield popped 5 basis points to 2.24%.

  • Indication of Overreaction with or without Stock Specific Public Announcements in Indian Stock market. Khatua, Sitangshu; Pradhan, H. K. // Vikalpa: The Journal for Decision Makers;Jul-Sep2014, Vol. 39 Issue 3, p35 

    Stock market overreacts to both anticipated and unanticipated stock-specific news. But even in the absence of any firm-specific news, evidences of extreme price changes have been observed in the stock market. This particular phenomenon creates the need of further study to examine the existence...

  • MARKET REACTION TO OPEN MARKET SHARE REPURCHASES ON THE JOHANNESBURG STOCK EXCHANGE OVER THE PERIOD 2000 TO 2007. Pienaar, H. P.; Krige, J. D. // Journal for Studies in Economics & Econometrics;Nov2012, Vol. 36 Issue 3, p101 

    This study examines the market behaviour of South African companies listed on the Johannesburg Stock Exchange (JSE) that have repurchased their own shares on the open market during the period October 2000 to December 2007. Consistent with prior studies on the North American and South African...

  • Earnings response elasticity and post-earnings-announcement drift. Yan, Zhipeng; Zhao, Yan; Xu, Wei; Cheng, Lee-Young // Journal of Asset Management;Aug2012, Vol. 13 Issue 4, p287 

    This article studies the relationship between initial market response to earnings surprise and subsequent stock price movement. We first develop a new measure - the earnings response elasticity (ERE) - to capture initial market response. It is defined as the absolute value of earnings...

Share

Read the Article

Courtesy of THE LIBRARY OF VIRGINIA

Sorry, but this item is not currently available from your library.

Try another library?
Sign out of this library

Other Topics